Having just done our first two shows this year (so far!) ourselves, I know how you feel!
Generally the shows will have water easily accessible, but buckets will be required for putting it in, and any feed/forage they are used to, we bring a bag of our own haylage. We haven't brought bedding, and have been fine with grass pens at one, and an indoor one that had a light dusting of shavings.
Things to remember are movement documents (not sure where you are, but I'm in scotland and it's one there, one back, I fill in both, and send to SAMU within 3 days of show, and need to travel with you in case anyone needs to see it)
Depending on the show, you may need class/exhibit numbers and a way of attaching them to yourself, bulldog clips work well, and generally white coats for showing in are expected, usually smart dress underneath including shirt and tie.
We have our sheep (somewhat) halter trained, so I have a dirty halter for loading and a clean one for showing, it's often not required for primitive classes, but some will want on a halter, and you will want to be able to handle them in some sort of fashion so they can be held still while the judge looks, and are often run free in the pen as a primitive breed. We try to halter train ours a bit, it gives a bit of control if they are playing up, but the first few times they get a halter on, they death roll like a crocodile, so well worth a few days of training in the lead up!
Ours are Hebrideans, so similar class, and they only require a bit of picking the worst vegetable matter out, a bit of dagging/crutching if they have dirty back ends, and a wipe down around the horns, face and udder areas with a damp cloth to clean up the worst mucky bits. PS, don't bed them down before the show on shavings, they will be dry and clean, but you will not get the shavings out before the show! (we learnt this at the last show lol)
Other things you might want are a poster/business cards if you would like to promote yourself, bottle of water and snacks for yourself, it's warm under that white coat. We also take the pony poo scoop and rake to keep the pen cleanish and avoid them rolling in muck.
Normally there will be in the small print of the schedule or the pieces of information the show will have sent you a time after which livestock can be loaded and you can go home, some time in the afternoon generally.
Most importantly, enjoy it, and good luck!